Trading Cash Session

FritzAlgo · Mon, 11 Sep 2023 16:30:16 +0000

Hi – am wanting to just trade the cash sessions, and get OHLC prices from the cash session for SPY (SPTRD on IG) and not the 24hr priced product they offer. For example, I want to know the open price of SPY (at 15:30 CEST) and OHLC for the previous day. Is there a function that can be called? Thanks

This topic has 28 replies, 5 voices, and was last updated 1 year ago by FritzAlgo.

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09/13/2023 at 1:27 PM #220938

GraHal

Am I over-simplifying your question (and missing the point? : ) ) … why not include times in your Algo codes so that trading occurs ONLY during the Cash Session?

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09/13/2023 at 2:57 PM #220944

FritzAlgo

Hi GraHal

Thank you for idea – I tried that but does not address issue. When I write an algo that says if close < close[1] or an indicator that derive it value from close, this is where the problem is. Close price on IG at midnight, not 22:00. Values are always different, introduce creep into prices which over time erode performance.

If I draw RSI[14] it take close price from IG, which is at midnight again, not 22:00. So even RSI value different to that of cash session.

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09/13/2023 at 4:48 PM #220976

GraHal

What timeframe are you using on your Platform.

If you use 1 Hour timeframe then time can be to nearest hour, if you use 5 min timeframe then time can be to nearest 5 mins etc.

Timeframe(1 Hour, updateonclose)
If Time = 220000 and close < close[1] Then
Sell at Market
Ensdif

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09/13/2023 at 5:01 PM #220977

FritzAlgo

Thanks GraHal

In code you show, would close[1] just be close of last 1 hour candle? So close at 21:00 same day?

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09/13/2023 at 5:08 PM #220978

GraHal

Yes

My code suggestion won’t work if you are using ‘end of day data’ … are you??

Most of us with IG have full data (i.e. not end of day only)

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09/13/2023 at 5:50 PM #220980

FritzAlgo

Hi GraHal

I have full data. That not the issue. I can run algos on full data (continuously priced CFDs from IG 24/7 from Monday to Saturday) but performance worse than if I run same algo on actual stock market times (15:00 to 22:00).

Seems to be no way to reflect real market, or store market price at time of open (15:00) and close (22:00) each day to refer to instead.

Ok, I go back to other platform / broker for these algos

I am grateful for everyone help and quick ideas, thank you

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09/13/2023 at 7:44 PM #220985

GraHal

FritzAlgo wrote:

Seems to be no way to reflect real market, or store market price at time of open (15:00) and close (22:00) each day to refer to instead.

So just to close the loop before you go … what was wrong with my idea … use Times in your code?

You can read and store (in your code) OHLC values at 15:00 and 22:00 … if you ask on here somebody will code it for you I’m sure.

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09/13/2023 at 8:54 PM #220988

FritzAlgo

Yes – I think we are on the same page now, but I still wait for someone to kindly show me how to code 🙂

Thank you again for help

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09/13/2023 at 9:38 PM #220989

GraHal

It be best to open a new Topic with a Title which describes what you want, e.g.

Please – Code to Store OHLC values at Cash Market Hours.

Then you state what you want and the hours etc.

There are a few very helpful members on here, but they need a specification in words as to what needs coding else they may waste their very valuable time.

It’s also useful to be brief and to the point exactly what you want.

I just read back over your posts in this Thread and – am I understanding correctly – you want every OHLC value at open and close of cash session / exchange market hours … what, for the past month, 12 months or just yesterday??

Code would be very cumbersome to capture more than a few days worth of OHLC values.

Anyway, further discussions would be best in a new Topic if you want to continue?

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09/13/2023 at 11:16 PM #220990

PeterSt

If you’d ask me … this is ridiculous. After a handful of posts it was totally clear what needs to be done. Why open a new topic for it ?
It is only that apparently nobody likes to do it. Or can do it ? This includes me, and I told so (it would be the first from my hand as I exactly never do these things in this forum).

Loop from 15:30 to 22:00 and register OHLC within that period. Actually High and Low would be sufficient, me thinks.
I recall that Fritz suggested that IBKR / PRT-IB would be able to do that automatically, but this is not something I automatically recognize. This is because ETH is explicitly dealt with by PRT, although that is a setting (want to trade ETH Yes/No). Thus, TF = 1 Day and then e.gf. High(Close[1]) ? I bet you that does not work out as desired; it will just incorporate the bars until 00:00.

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09/14/2023 at 8:30 AM #221002

GraHal

Maybe nobody provided code because FritzAlgo never made it clear what he wants?

If all he wants is to open a Buy if Cash Open > Cash Close yesterday and Sell if Cash Close < Cash Close yesterday then that is easy.

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09/14/2023 at 9:03 AM #221005

PeterSt

For everything a first time.

Once MyOpen = 0
Once MyHigh = 0
Once MyLow = 999999
Once MyClose = 0

If Time = 153000 then  
  MyOpen = Open
endif
If Time = 220000 then 
  MyClose = Close
endif

If Time >= 153000 and Time <= 220000 then
  MyHigh = Max(Close, MyHigh)   // Could be refined with Range and such.
  MyLow = Min(Close, MyLow)     // Ditto.
else   // Reset all.  
  MyOpen = 0
  MyHigh = 0
  MyLow = 999999
  MyClose = 0
endif

If MyOpen <> 0 then
  graphOnPrice(MyOpen) Coloured("Green") as "Cash Open"   // Comment the others out and leave one active, views more comfortable.
endif
If MyClose <> 0 then
  graphOnPrice(MyClose) Coloured("Yellow") as "Cash Close"
endif
If MyHigh <> 0 then
  graphOnPrice(MyHigh) Coloured("Red") as "Cash High"
endif
If MyLow <> 999999 then
  graphOnPrice(MyLow) Coloured("White") as "Cash Low"
endif

Once MyOpen = 0

Once MyHigh = 0

Once MyLow = 999999

Once MyClose = 0

If Time = 153000 then

MyOpen = Open

endif

If Time = 220000 then

MyClose = Close

endif

If Time >= 153000 and Time <= 220000 then

MyHigh = Max(Close, MyHigh) // Could be refined with Range and such.

MyLow = Min(Close, MyLow) // Ditto.

else // Reset all.

MyOpen = 0

MyHigh = 0

MyLow = 999999

MyClose = 0

endif

If MyOpen <> 0 then

graphOnPrice(MyOpen) Coloured("Green") as "Cash Open" // Comment the others out and leave one active, views more comfortable.

endif

If MyClose <> 0 then

graphOnPrice(MyClose) Coloured("Yellow") as "Cash Close"

endif

If MyHigh <> 0 then

graphOnPrice(MyHigh) Coloured("Red") as "Cash High"

endif

If MyLow <> 999999 then

graphOnPrice(MyLow) Coloured("White") as "Cash Low"

endif

Of course it requires some more, like undoubtedly the requirement to look at the High etc. from the previous day.

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GraHal

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09/14/2023 at 9:13 AM #221009

GraHal

FritzAlgo Peter’s kindly provided code needs to be run on 30 minutes or less Timeframe.

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PeterSt

GraHal

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09/15/2023 at 8:49 AM #221072

FritzAlgo

Hello PeterSt

Thank you very much, I am so grateful to try. Sorry, I tested positive yesterday and not feeling good so will go back to testing early next week I hope. I will come back here and share results. Excited to try

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